51 citations · 84 across the 12 of their papers we have counts for
Showing q-fin.PRShow all
2 papers · 1 filter
q-fin.PR2012
A shorter proof of Lemma A.6 (arXiv:1005.0768)
Tom Fischer
For the convenience of readers of the article {\em No-arbitrage pricing under systemic risk: accounting for cross-ownership} (Fischer, 2012, arXiv:1005.0768), a full proof of Lemma…
q-fin.PR2010★ 51 cited
No-arbitrage pricing under cross-ownership
Tom Fischer
We generalize Merton's asset valuation approach to systems of multiple financial firms where cross-ownership of equities and liabilities is present. The liabilities, which may incl…